On the definition of an admitted Lie group for stochastic differential equations with multi-Brownian motion

DOI10.1088/0305-4470/39/45/006zbMath1108.65006OpenAlexW2117902082WikidataQ115293290 ScholiaQ115293290MaRDI QIDQ3419346

Boonlert Srihirun, Eckart Schulz, Sergey V. Meleshko

Publication date: 6 February 2007

Published in: Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/0305-4470/39/45/006

zbMATH Keywords

Lie group method

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Geometric methods in ordinary differential equations (34A26) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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